# Cboe Options Greeks Data Live (`khnaami/cboe-options-greeks-data-live`) Actor nstitutional intelligence actor extracting live and historical OHLCV Candlesticks, strike-by-strike Open Interest & Volume distributions, and analytical Black-Scholes Greeks for US Equities, Indices, and ETFs (SPY, QQQ, AAPL, NVDA, TSLA, etc.) - **URL**: https://apify.com/khnaami/cboe-options-greeks-data-live.md - **Developed by:** [khalid naami](https://apify.com/khnaami) (community) - **Stats:** 2 total users, 1 monthly users, 100.0% runs succeeded, 1 bookmarks - **User rating**: No ratings yet ## Pricing Pay per usage This Actor is paid per platform usage. The Actor is free to use, and you only pay for the Apify platform usage, which gets cheaper the higher subscription plan you have. Learn more: https://docs.apify.com/actors/running/actors-in-store.md#pay-per-usage ## What's an Apify Actor? An Actor is a serverless cloud program that runs on the Apify platform. It has two run modes. In Batch mode, an Actor accepts a well-defined JSON input, performs an action which can take anything from a few seconds to a few hours, and optionally produces a well-defined JSON output, datasets with results, or files in key-value store. In Standby mode, an Actor provides a web server which can be used as a website, API, or an MCP server. Apify vocabulary and the platform model are defined once, in the agent quickstart at https://apify.com/agents.md. ## How to integrate an Actor? If asked about integration, you help developers integrate Actors into their projects. You adapt to their stack and deliver integrations that are safe, well-documented, and production-ready. Do not guess an integration path. Every one of them is in the agent quickstart at https://apify.com/agents.md: the Apify MCP server, Agent Skills with the Apify CLI, the JavaScript and Python clients, the REST API, and the account-free path for an agent with no human to sign in. It also carries the rule on stating cost before the first paid run. For examples already wired to this Actor's own input schema, see the [API](#api) section below. Each client library has reference documentation the quickstart does not restate: [JavaScript/TypeScript](https://docs.apify.com/api/client/js/docs.md) (`npm install apify-client`) and [Python](https://docs.apify.com/api/client/python/docs.md) (`pip install apify-client`). # README ## CBOE Options Greeks & Candlesticks Intelligence Actor An institutional-grade **Apify Actor** engineered to extract real-time and historical **OHLCV Candlesticks**, comprehensive **Strike-by-Strike Open Interest & Volume distributions**, and **Full Analytical Primary & Higher-Order Greeks** for any US Equity, Index, or ETF traded on the CBOE / OPRA exchanges (e.g., `SPY`, `QQQ`, `AAPL`, `NVDA`, `TSLA`, `MSFT`, `AMZN`, `META`, `AMD`, `IWM`, `GLD`, `DIA`). *** ### 🌟 Key Features 1. **Real-Time & Historical OHLCV Candlesticks**: - High-fidelity price action series across multiple granularities (`1d`, `1h`, `15m`, `5m`). - Open, High, Low, Close, Volume history for technical analysis and spot context. 2. **Strike-Level Open Interest & Volume Profiling**: - Detailed strike-by-strike breakdown for Call OI, Put OI, Net OI ($OI\_{call} - OI\_{put}$), Call Volume, Put Volume, Net Volume ($Vol\_{call} - Vol\_{put}$). - Aggregate Put-Call Ratios for Open Interest and Volume per expiration cycle. 3. **Complete Primary & Higher-Order Options Greeks**: - **Delta ($\Delta$)**: First-order directional sensitivity to underlying spot price changes. - **Gamma ($\Gamma$)**: Second-order sensitivity (rate of change of Delta per $1 spot move). - **Vega ($\nu$)**: Sensitivity to implied volatility changes (per 1% IV shift). - **Theta ($\Theta$)**: Daily time decay. - **Vanna ($\frac{\partial\Delta}{\partial\sigma}$)**: Cross-derivative measuring Delta sensitivity to volatility changes. - **Charm ($\frac{\partial\Delta}{\partial t}$)**: Rate of Delta decay over time (Delta decay / DDeltaDTime). - **Speed ($\frac{\partial\Gamma}{\partial S}$)**: Third-order derivative measuring Gamma sensitivity to spot changes. - **Vomma ($\frac{\partial\nu}{\partial\sigma}$)**: Volga / volatility of Vega (Vega sensitivity to implied volatility). - **Color ($\frac{\partial\Gamma}{\partial t}$)**: Gamma decay over time (DGammaDTime). 4. **Breakeven & Midpoint Pricing**: - Accurate Bid/Ask midpoint evaluation and expiration breakeven levels ($\text{Strike} + \text{Call Mid}$, $\text{Strike} - \text{Put Mid}$). *** ### 📥 Input Schema | Parameter | Type | Default | Description | | :--- | :--- | :--- | :--- | | `tickers` | `array` | `["SPY", "QQQ", "AAPL"]` | List of US equity/ETF tickers to analyze. | | `candlestickResolution` | `string` | `"1d"` | Bar interval for underlying candlesticks (`5m`, `15m`, `1h`, `1d`). | | `candlestickDays` | `integer` | `30` | Number of days of historical OHLCV candlesticks to fetch (2-365). | | `maxExpirationsPerTicker`| `integer` | `3` | Maximum number of upcoming expiration cycles per ticker (1-12). | | `riskFreeRate` | `number` | `0.045` | Annualized risk-free interest rate (e.g., `0.045` for 4.5%). | | `includeCandlesticks` | `boolean` | `true` | Include OHLCV price action series in output. | | `includeOiVolumeTable` | `boolean` | `true` | Include strike-level OI & Volume distribution. | | `includeFullGreeksTable` | `boolean` | `true` | Include full Primary & Higher-Order Greeks. | #### Example Input (`INPUT.json`) ```json { "tickers": ["SPY", "NVDA", "TSLA"], "candlestickResolution": "1d", "candlestickDays": 30, "maxExpirationsPerTicker": 3, "riskFreeRate": 0.045, "includeCandlesticks": true, "includeOiVolumeTable": true, "includeFullGreeksTable": true } ``` *** ### 📤 Output Structure #### 1. Default Dataset (Tabular Records) Each item in the dataset corresponds to a single strike option contract across expirations: ```json { "ticker": "SPY", "underlyingPrice": 574.82, "expirationDate": "2026-10-16", "daysToExpiration": 16, "strike": 575.0, "callMidPrice": 6.85, "putMidPrice": 6.92, "impliedVolatilityPct": 14.85, "callDelta": 0.5098, "putDelta": -0.4902, "gamma": 0.021542, "vega": 0.7842, "callTheta": -0.1984, "putTheta": -0.1762, "vanna": 0.003412, "charmCall": 0.004125, "speed": -0.00003512, "vomma": 0.004512, "color": -0.00045218, "callOpenInterest": 14520, "putOpenInterest": 18230, "netOpenInterest": -3710, "callVolume": 4210, "putVolume": 5890, "netVolume": -1680, "callBreakeven": 581.85, "putBreakeven": 568.08 } ``` #### 2. Key-Value Store (`OUTPUT`) The Key-Value store contains a structured summary payload with candles, expiration summaries, and strike arrays: ```json { "status": "SUCCESS", "timestamp": "2026-09-30T23:20:00Z", "tickersCount": 3, "totalStrikesAnalyzed": 642, "tickers": ["SPY", "NVDA", "TSLA"], "data": [ { "ticker": "SPY", "underlyingPrice": 574.82, "dividendYieldPct": 1.25, "candlesticksCount": 30, "candlesticks": [ ... ], "expirationsEvaluated": 3, "expirations": [ { "expirationDate": "2026-10-16", "daysToExpiration": 16, "strikesCount": 214, "totalCallOpenInterest": 352100, "totalPutOpenInterest": 489200, "netOpenInterest": -137100, "putCallRatioOI": 1.39, "totalCallVolume": 85400, "totalPutVolume": 112300, "netVolume": -26900, "putCallRatioVolume": 1.31, "strikes": [ ... ] } ] } ] } ``` *** ### 🧮 Greeks Calculation Formulas The Actor utilizes continuous dividend yield Black-Scholes analytical formulations: $$d_1 = \frac{\ln(S/K) + (r - q + 0.5\sigma^2)T}{\sigma\sqrt{T}}, \quad d_2 = d_1 - \sigma\sqrt{T}$$ - **Call Delta**: $\Delta_C = e^{-qT} N(d_1)$ - **Put Delta**: $\Delta_P = -e^{-qT} N(-d_1)$ - **Gamma**: $\Gamma = \frac{e^{-qT} \phi(d_1)}{S \sigma \sqrt{T}}$ - **Vega**: $\nu = \frac{S e^{-qT} \phi(d_1) \sqrt{T}}{100}$ - **Vanna**: $\frac{\partial\Delta}{\partial\sigma} = -e^{-qT} \phi(d_1) \frac{d_2}{\sigma}$ - **Speed**: $\frac{\partial\Gamma}{\partial S} = -\frac{\Gamma}{S} \left(\frac{d_1}{\sigma\sqrt{T}} + 1\right)$ - **Vomma**: $\frac{\partial\nu}{\partial\sigma} = \frac{\nu \cdot d_1 d_2}{\sigma}$ - **Charm**: $\frac{\partial\Delta}{\partial t} = q e^{-qT} N(d_1) - e^{-qT} \phi(d_1) \left\[\frac{2(r-q)T - d_2 \sigma \sqrt{T}}{2T \sigma \sqrt{T}}\right]$ - **Color**: $\frac{\partial\Gamma}{\partial t} = -\Gamma \left\[\frac{r-q}{\sigma\sqrt{T}} + \frac{1 - d_1 d_2}{2T}\right]$ *** ### 💼 Institutional Use Cases - **Systematic Volatility Arbitrage**: Identify mispriced options contracts relative to realized volatility. - **Delta Hedging & Dynamic Portfolio Rebalancing**: Automate Greeks exposure tracking across stock & ETF options. - **Dealer Positioning & Liquidity Profiling**: Track strike-level Gamma, Vanna, and Charm imbalances to anticipate market maker hedging flows. - **Market Sentiment & Hedging Flow**: Monitor Put-Call Open Interest and Volume ratios across key US equities and benchmark indices. *** ### 📜 License MIT License. Designed for quantitative researchers, hedge funds, algorithmic traders, and financial engineers. # Actor input Schema ## `tickers` (type: `array`): List of US equity/ETF tickers to fetch options and Greeks for (e.g., SPY, QQQ, AAPL, NVDA, TSLA, MSFT, AMZN, META, AMD, IWM, DIA, GLD). ## `candlestickResolution` (type: `string`): Bar interval for underlying stock candlestick price history. ## `candlestickDays` (type: `integer`): Number of days of historical OHLCV candlesticks to extract. ## `maxExpirationsPerTicker` (type: `integer`): Maximum number of upcoming options expiration cycles to evaluate per ticker. ## `riskFreeRate` (type: `number`): Annualized risk-free interest rate (e.g., 0.045 = 4.5%). ## `includeCandlesticks` (type: `boolean`): Whether to extract and output the OHLCV candlestick price action dataset. ## `includeOiVolumeTable` (type: `boolean`): Whether to output the strike-level Open Interest and Volume table. ## `includeFullGreeksTable` (type: `boolean`): Whether to output the full primary and higher-order Greeks dataset. ## Actor input object example ```json { "tickers": [ "SPY", "QQQ", "AAPL" ], "candlestickResolution": "1d", "candlestickDays": 30, "maxExpirationsPerTicker": 3, "riskFreeRate": 0.045, "includeCandlesticks": true, "includeOiVolumeTable": true, "includeFullGreeksTable": true } ``` # Actor output Schema ## `results` (type: `string`): Dataset items and records produced by the Actor ## `overview` (type: `string`): Summary report stored in Key-Value store # API You can run this Actor programmatically using our API. Below are code examples in JavaScript, Python, and CLI, as well as the OpenAPI specification and MCP server setup. ## JavaScript example ```javascript import { ApifyClient } from 'apify-client'; // Initialize the ApifyClient with your Apify API token // Replace the '' with your token const client = new ApifyClient({ token: '', }); // Prepare Actor input const input = {}; // Run the Actor and wait for it to finish const run = await client.actor("khnaami/cboe-options-greeks-data-live").call(input); // Fetch and print Actor results from the run's dataset (if any) console.log('Results from dataset'); console.log(`💾 Check your data here: https://console.apify.com/storage/datasets/${run.defaultDatasetId}`); const { items } = await client.dataset(run.defaultDatasetId).listItems(); items.forEach((item) => { console.dir(item); }); // 📚 Want to learn more 📖? Go to → https://docs.apify.com/api/client/js/docs ``` ## Python example ```python from apify_client import ApifyClient # Initialize the ApifyClient with your Apify API token # Replace '' with your token. client = ApifyClient("") # Prepare the Actor input run_input = {} # Run the Actor and wait for it to finish run = client.actor("khnaami/cboe-options-greeks-data-live").call(run_input=run_input) # Fetch and print Actor results from the run's dataset (if there are any) print(f"💾 Check your data here: https://console.apify.com/storage/datasets/{run.default_dataset_id}") for item in client.dataset(run.default_dataset_id).iterate_items(): print(item) # 📚 Want to learn more 📖? Go to → https://docs.apify.com/api/client/python/docs/quick-start ``` ## CLI example ```bash echo '{}' | apify call khnaami/cboe-options-greeks-data-live --silent --output-dataset ``` ## MCP server setup ```json { "mcpServers": { "apify": { "type": "http", "url": "https://mcp.apify.com/?tools=fetch-actor-details,khnaami/cboe-options-greeks-data-live" } } } ``` The hosted server signs you in with OAuth on first connect, so no API token belongs in this config. Clients without OAuth support can send an `Authorization: Bearer ` header instead, using a token from API & Integrations in Apify Console (https://console.apify.com/settings/integrations). ## OpenAPI specification Download the OpenAPI definition: https://api.apify.com/v2/actors/h6ZuTeAKwz1Cc5vLN/builds/YvsEwFH4EAODti3fl/openapi.json